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The Transmission of Liquidity Shocks : The Role of Internal Capital Markets and Bank Funding Strategies - , Ouarda Merrouche

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We analyze the transmission of bank-specific liquidity shocks triggered by a credit rating downgrade through the lending channel. Using bank-level data for US Bank Holding Companies, we find that a credit rating downgrade is associated with an immediate and persistent decline in access to non-core deposits and wholesale funding, especially during the global financial crisis. This translates into a reduction in lending to households and non-financial corporates at home and abroad. The effect on domestic lending, however, is mitigated when banks (i) hold a larger buffer of liquid assets, (ii) diversify away from rating-sensitive sources of funding, and (iii) activate internal liquidity support measures. Foreign lending is significantly reduced during a crisis at home only for subsidiaries with weak funding self-sufficiency.

Author: Karam, Philippe D
Author: Merrouche, Ouarda
Publisher: INTERNATIONAL MONETARY FUND
Illustration: N
Language: ENG
Title: The Transmission of Liquidity Shocks : The Role of Internal Capital Markets and Bank Funding Strategies
Pages: 00038 (Encrypted EPUB) / 00038 (Encrypted PDF)
On Sale: 2014-11-19
SKU-13/ISBN: 9781498352888
Category: Business & Economics : Banks & Banking


(ID 278201802)

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